Abstract

This thesis employs a novel combination of high-quality daily credit default swap (CDS) spread and corporate bond price data to analyze several important quantities related to corporate credit. The first essay analyzes the cross-sectional and intertemporal behavior of default and non-default premiums in US investment grade corporate bond spreads by proxying default premiums with CDS spreads. The second essay takes a similar approach to analyze the default and non-default premiums driving USD-denominated interest swap rates through an examination of the LIBOR Panel banks' CDS spreads. In contrast to existing formalized theories, both essays provide overwhelming empirical evidence for the prevalence of non-default risks in driving corporate bond and interest rate swap spreads.